ARIMA Model Exponential Smoothing

• Form of regression analysis that • Widely used technique for

seeks to predict future
movements along the seemingly
random walk taken
• take into account
trends, seasonality, cycles, errors
and non-stationary aspects of a
data set when making forecasts.
forecasting for its simplicity and
robustness
• Holt-Winters’ multiplicative
method is appropriate for series
with seasonal variations
Hourly demand (MW) of electricity in the
month of May 2006

Hourly demand (MW) of electricity in the

month of December 2006
 Forecasts based on entire
month data of May 2006
for estimation

Forecasts based on last

week data of May 2006 for
estimation

Forecasts based on entire

month data of December
2006 for estimation

Forecasts based on last

week data of Decemeber
2006 for estimation
 Estimation RMSE MAE MAPE
Model
period
776.34 610.55 2.2
ARIMA
May 2006
759.92 611.33 2.18
ES
579.4 467.84 1.68
Last week of ARIMA
May2006 707.58 565.32 2.04
ES
425.76 343.72 1.41
ARIMA
December 2006
454.7 379.14 1.55
ES
375.23 281.35 1.15
Last week of ARIMA
December 2006 379.76 327.84 1.34
ES